Heat oven to 350°F. Place baking dish in a roasting pan and pour enough boiling water into roasting pan to come halfway up sides of dish. Bake 50 to 55 minutes or until a knife tests clean. Let cool in pan on a wire rack until warm. Dust with confectioners' sugar; serve with vanilla-rum custard sauce.

Make Vanilla-Rum Custard Sauce: In a medium bowl, whisk egg yolks and sugar, about 3 minutes.

In a medium saucepan, heat cream and milk over medium heat until bubbles form around the edge. Slowly whisk cream mixture into yolk mixture; pour back into saucepan. Heat over medium-low, stirring constantly, until sauce coats back of a spoon, 3 to 4 minutes or to 170°F. Remove from heat; stir in vanilla and rum. Strain through a fine sieve into a bowl. Serve warm or cold.